Rodrigo Herrera
Associate Professor of Economics (tenured)
University of Talca, School of Business and Economics.
I am an economist specialising in financial econometrics. My research focuses on modelling the dynamics of extreme events and systemic tail risk in financial markets. I hold a PhD in Economics from Dresden University of Technology in Germany.
The Black Swan Outline
Guide the black swan across a landscape of extreme events: tornados, crashes, storms, volcanoes, earthquakes. Each pipe is a section: stand on it and press ↓ to enter. Move with ←→ / A–D, jump with Space. Collect the EVT parameters (ξ, β, μ, σ) to build the extreme-value theorems in the clouds, and stomp The Denier along the way.
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Research
I am an economist working to understand how markets behave and what that means for the broader economy, with particular attention to rare but economically consequential events. Financial crises are, statistically, tail events: infrequent but consequential, so my research models their timing and intensity rather than the calm middle of the distribution, and traces how extreme risk in one market spills over into others and into the real economy.
Methodologically, I work at the intersection of extreme value theory, point processes, and score-driven (observation-driven) time-series models, building tools to forecast Value at Risk, Expected Shortfall, and systemic tail risk. Empirically, I apply them to banking, commodities, electricity, and currency markets, often with high-frequency and option-implied information.
Extreme value theory
Peaks-over-threshold and self-exciting models for the dynamics of rare market events.
Quantitative risk management
Forecasting VaR, Expected Shortfall and expectiles; evaluating and backtesting tail risk.
Systemic & spillover risk
How extreme risk propagates across banks, commodities and energy markets.
News
Publications
Selected below · full list expandableShow full publication list (31)
Working papers & work in progress (5)
Software
Open-source · on GitHubTeaching & Advising
Postgraduate: Financial Econometrics, Advanced Econometrics, Time Series, Quantitative Finance, Quantitative Risk Management, Quantitative Methods & Data Science, Research Methodology.
Undergraduate: Econometrics, Stochastic Modelling, Stochastic Frontiers, Productivity Analysis, Optimization, Operations & Logistics, Supply Chain Management.
Master’s advisees include M. Piña (now PhD student, University of Virginia), M. Gaete, T. Pérez and S. Moisan. Full details in the CV.
Selected invited talks
… and 60+ conferences, seminars and workshops worldwide. Full list in the CV.
Funding
Principal Investigator unless noted(equivalent to the NSF in the United States)
Appointments & Service
Six Degrees of Collaboration
Erdös, Einstein & Gauss numbersAn Erdös number counts the co-authorship steps that separate me from Paul Erdös; the same idea gives an Einstein and a Gauss number. Mine are 4, 6 and 8. Each dot is a real co-author along the shortest published path. More about the Erdös number →
“If I have seen further it is by standing on the shoulders of giants.”Isaac Newton, 1675 · nanos gigantum humeris insidentes